Readership: Advanced level students, researchers and practitioners wanting to learn more about computational methods in finance. The book. Download Citation on ResearchGate | On Dec 1, , Lasse Koskinen and others published Computational Methods in Finance by Ali Hirsa }. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through.
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CDs, access codes etc These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation. It brings together a full-spectrum of methods with many practical examples.
The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc.
The book is well-written and easy to follow. A3 H57 Unknown.
Product details Format Hardback pages Dimensions x x Already read this title? Ships with Tracking Number! The author analyzes and breaks down the problem into sections with clear derivations for each section. Request methpds e-inspection copy. It then examines many computational approaches for pricing derivatives. The next part focuses on essential steps in real-world derivative pricing. The country you have selected will result in the following: Stochastic Finance Jan Vecer.
Computational Methods In Finance
SearchWorks Catalog Stanford Libraries. User Review – Flag as inappropriate The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc. It will help readers accurately price a vast array of derivatives.
It then examines many computational approaches for pricing derivatives. Financial Mathematics Giuseppe Campolieti.
My library Help Advanced Book Search. Computational Computatioonal in Finance Ali Hirsa. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.
Computational Methods In Finance by Hirsa, Ali
Stochastic Financial Models Douglas Kennedy. As a result, most people with decent math background can understand these derivations and can write a computer program solving PIDE to get price of an American option. Find it at other libraries via WorldCat Limited preview. It then examines many computational approaches for pricing derivatives.
The first part of the book describes pricing methods for numerous derivatives under a variety of models. Review quote “The depth and breadth of this stand-alone textbook on computational methods in finance is computatiomal.
Those who work through them will gain a deep understanding of the modern computational methods in finance. Computational methods in finance. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter computatuonal.